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U.K. and U.S. Trading of British Cross-Listed Stocks: An Intraday Analysis of Market Integration

REVIEW OF FINANCIAL STUDIES, Vol. 9 No. 2

Posted: 29 Apr 1998  

Ingrid M. Werner

The Ohio State University - Fisher College of Business

Allan W. Kleidon

Cornerstone Research

Abstract

This paper analyzes intraday patterns for U.K. and U.S. trading of British cross-listed stocks. For each market, the intraday patterns for these stocks closely resemble those of otherwise similar, non-cross-listed stocks. There is a two-hour period each day when cross-listed stocks are traded both in New York and in London. This overlap is characterized by concentrated trading as private information, originating in New York, gets incorporated into prices in both markets. Cross-border competition for orderflow tends to reduce already declining spreads in London. By contrast, New York specialists maintain high spreads during the overlap. Overall, the evidence indicates that orderflow for cross-listed securities is segmented.

JEL Classification: G15

Suggested Citation

Werner, Ingrid M. and Kleidon, Allan W., U.K. and U.S. Trading of British Cross-Listed Stocks: An Intraday Analysis of Market Integration. REVIEW OF FINANCIAL STUDIES, Vol. 9 No. 2. Available at SSRN: https://ssrn.com/abstract=7653

Ingrid M. Werner (Contact Author)

The Ohio State University - Fisher College of Business ( email )

2100 Neil Avenue
Columbus, OH 43210-1144
United States
614-292-6460 (Phone)
614-292-2418 (Fax)

Allan W. Kleidon

Cornerstone Research ( email )

1000 El Camino Real
Menlo Park, CA 94025-4327
United States
415-853-1660 (Phone)
415-324-9204 (Fax)

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